What happens during recessions, crunches and busts?
基于21个OECD国家1960-2007年的数据，分析了122次衰退、113次信贷紧缩和114次房价暴跌等事件，发现信贷紧缩和房价暴跌伴随的衰退更深更长。
We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles, for 21 OECD countries over the period 1960–2007. In particular, we analyse the implications of 122 recessions, 113 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 245 (61) episodes of equity price declines (busts), and their various overlaps in these countries, over the sample period. Our results indicate that the interactions between macroeconomic and financial variables can play a major role in determining the severity and duration of a recession. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions.— Stijn Claessens, M. Ayhan Kose and Marco E. Terrones